Malliavin calculus in a binomial framework
The binomial model is a standard framework used to introduce risk neutral pricing of financial assets. Martingale representation, backward stochastic differential equations, and the Malliavin calculus are difficult concepts in a continuous‐time setting. This paper presents these ideas in the simple,...
| المؤلفون الرئيسيون: | , , |
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| التنسيق: | Journal article |
| منشور في: |
Wiley
2018
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